Pain at the Pump: Is There an Asymmetric Influence of Oil Volatility on Gasoline Volatility in France?

Abstract

<p class="ESRBODY">We investigate, for the first time, the relationship between gasoline volatility and crude oil volatility. We aim to examine if the so-called asymmetric relationship between gasoline and crude oil prices holds for volatility. The approach employed is based on the asymmetric dynamic conditional correlation model as applied to the US WTI oil volatility and the French Super Carburant 95 gasoline volatility from 1990 to 2014.</p>The results reveal that gasoline volatility tends to be overreactive to changes in crude oil volatility. Moreover, it appears that the government taxation policy might amplify the gasoline volatility